مرکز منطقه ای اطلاع رساني علوم و فناوري - Fitting bivariate cumulative returns with copulas

Title of article :

Fitting bivariate cumulative returns with copulas

Author/Authors :

Werner Hürlimann، نويسنده ,

Issue Information :

روزنامه با شماره پیاپی سال 2004

Pages :

From page :

355

To page :

372

Keywords :

Copula , Normal inverse gamma mixture , IFM method , Dailycumulative return , Covariance estimation , Bivariate chi-square statistic

Journal title :

Computational Statistics and Data Analysis

Serial Year :

2004

Journal title :

Computational Statistics and Data Analysis

Record number :

307743

Link To Document :